Investments: An Empirical and Quantitative Approach
A rigorous, data-driven introduction to modern investment theory and empirical asset pricing designed for upper-level undergraduate and early graduate finance students. The curriculum bridges theoretical frameworks—modern portfolio theory, the Arbitrage Pricing Theory, Fama-French multi-factor architectures, and market microstructure—with hands-on quantitative execution in Python. Students build factor models from the mathematical foundations up, analyze real-world financial data from CRSP and Compustat via WRDS, construct mean-variance optimized portfolios, and evaluate investment strategies using the tools of empirical asset pricing.
- Level: advanced
- Duration: 15 weeks
- 12 sections
- Price: $20
Topics: modern portfolio theory, mean-variance optimization, CAPM, arbitrage pricing theory, factor models, Fama-French, empirical asset pricing, market microstructure, prospect theory, behavioral finance, market efficiency, equity valuation, portfolio performance evaluation, PCA for finance, Python for finance, WRDS, CRSP
What's inside
- Investments: An Empirical and Quantitative Approach
- Chapter 1: Financial Markets, Asset Classes, and the Investment Process
- Chapter 2: Risk, Return, and the Two-Asset Portfolio
- Chapter 3: Modern Portfolio Theory and the Efficient Frontier
- Chapter 4: The Capital Asset Pricing Model
- Chapter 5: Market Microstructure
- Chapter 6: Market Efficiency, Behavioral Finance, and Prospect Theory
- Chapter 7: Mathematical Tools for Building Factor Models
- Chapter 8: Arbitrage Pricing Theory and Multifactor Model Architectures
- Chapter 9: Empirical Factor Investing — Fama-French Multi-Factor Architectures
- Chapter 10: Equity Valuation — Fundamental Analysis and Return Predictability
- Chapter 11: Portfolio Management and Performance Evaluation